The VXV is the VIX’s longer-term brother; it measures implied volatility 3 months out instead of 30 days out. The ratio between the VIX and the VXV captures the differential between short-term and medium-term implied volatility. Naturally, the ratio spends most…

Various holiday effects are well documented for developed countries’ stock markets, typically showing abnormal returns around thanksgiving, Christmas, New Year, and Easter. Do similar effects exist in the Chinese stock market? In this post I’ll take a look at returns…

I’m writing a paper on the IBS effect, but it’s taking a bit longer than expected so I thought I’d share some of the results in a blog post. The starting point is a paper by Levy & Lieberman: Overreaction of…

Introduction A quick intro to VIX ETPs (some are ETFs, others are ETNs)1 before we get to the meat: the VIX itself is not tradable, only futures on the VIX are. These futures do not behave like equity index futures which…